κf, g Rel. Risk- K N C vol(C) L vol(L)
κm gain sharing
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
No UMP - -3.69 - 0.70 5.609 1.524 0.702 0.0606 0.331 0.0803 Rule 1 - Credit Spread Rule
LF, cou. 17 -3.67 0.02 0.68 5.626 1.532 0.704 0.0575 0.332 0.0608 LF, un. 17 -3.67 0.02 0.67 5.625 1.533 0.703 0.0576 0.332 0.0610 CCP, cou. 50 -2.85 0.84 0.67 5.661 1.451 0.705 0.0528 0.332 0.0440 CCP, un. 59 -2.78 0.90 0.64 5.667 1.431 0.705 0.0529 0.332 0.0429 Rule 2 - Credit Growth Rule
LF, cou. 23 1.13 4.82 0.69 5.912 1.337 0.710 0.0579 0.332 0.0639 LF, un. 26 1.05 4.74 0.68 5.899 1.343 0.710 0.0574 0.332 0.0621 CCP, cou. 50 3.03 6.71 0.71 5.992 1.279 0.714 0.0510 0.333 0.0557 CCP, un. 53 2.77 6.46 0.66 5.975 1.288 0.714 0.0518 0.333 0.0541 No UMP: no unconventional monetary policy. LF: liquidity facilities. CCP: corporate credit policy.
Cou.: country-specific. Un.: union-wide. κf: optimal feedback coefficient for liquidity facilities.
κm: optimal feedback coefficient for credit policy.g: welfare gains in consumption equivalents in percent of steady-state consumption. Relative gain: difference in gto case without unconventional policy. International risk-sharing is measured as corr(λt, λ∗t). Columns (5)-(7) and (9) display the stochastic steady state of the given variable.
Table B.8: Optimal Simple Rules in a Symmetric Setup (Higher Intermediation Costs, τ1 = 0.000313, τ2 = 0.0031)
κf, g Rel. Risk- K N C vol(C) L vol(L)
κm gain sharing
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
no UMP - -3.69 - 0.70 5.609 1.524 0.702 0.0606 0.331 0.0803 Rule 1 - Credit Spread Rule
LF, cou. 0 -3.69 0.00 0.70 5.609 1.524 0.702 0.0606 0.331 0.0803 LF, un. 0 -3.69 0.00 0.70 5.609 1.524 0.702 0.0606 0.331 0.0803 CCP, cou. 23 -3.24 0.45 0.68 5.655 1.493 0.705 0.0552 0.332 0.0506 CCP, un. 26 -3.21 0.48 0.66 5.659 1.487 0.705 0.0553 0.332 0.0496 Rule 2 - Credit Growth Rule
LF, cou. 13 0.03 3.71 0.69 5.891 1.356 0.708 0.0599 0.331 0.0712 LF, un. 13 0.02 3.71 0.70 5.867 1.365 0.708 0.0598 0.331 0.0713 CCP, cou. 23 2.11 5.80 0.70 5.944 1.313 0.712 0.0553 0.332 0.0580 CCP, un. 26 1.94 5.63 0.67 5.935 1.319 0.712 0.0551 0.332 0.0564 No UMP: no unconventional monetary policy. LF: liquidity facilities. CCP: corporate credit policy.
Cou.: country-specific. Un.: union-wide. κf: optimal feedback coefficient for liquidity facilities.
κm: optimal feedback coefficient for credit policy.g: welfare gains in consumption equivalents in percent of steady-state consumption. Relative gain: difference in gto case without unconventional policy. International risk-sharing is measured as corr(λt, λ∗t). Columns (5)-(7) and (9) display the stochastic steady state of the given variable.
Table B.9: Optimal Simple Rules in a Symmetric Setup (Higher Intermediation Costs, τ1 = 0.000625, τ2 = 0.0062)
Appendix C
Appendix to Chapter 4
C.1 Further Tables
γB γRS Actual Potential Difference corr(Ω,Λ) in % % risk-sharing risk-sharing (4)-(3)
(1) (2) (3) (4) (5) (6)
Only Capital Quality Shocks (Ψt)
Baseline banks 64 150 0.20 0.49 0.29 0.81
Lower spread 68 118 0.24 0.36 0.12 0.90
Lower leverage 78 131 0.30 0.45 0.15 0.76
Both lower 85 112 0.31 0.35 0.04 0.85
Only Technology Shocks (At)
Baseline banks 41 125 0.25 0.44 0.18 0.49
Lower spread 52 110 0.30 0.40 0.10 0.57
Lower leverage 51 120 0.26 0.41 0.15 0.51
Both lower 68 108 0.33 0.39 0.05 0.56
Only Net Wealth Shocks (Nt )
Baseline banks 496 414 -0.72 -0.69 0.03 -0.02
Lower spread 466 420 -0.66 -0.66 0.01 -0.00
Lower leverage 510 393 -0.76 -0.69 0.07 0.00
Both lower 477 398 -0.70 -0.67 0.03 0.01
Risk-sharing is measured as corr(λ, λ∗).
Table C.1: Portfolio Choice and Risk-Sharing for Different Degrees of Financial Frictions under Different Shock Structures
111
γHH Risk-Sharing in %
(1) (2)
Baseline 741 0.997
Only capital quality shocks (Ψt ) 748 1.000 Only technology shocks (At ) 699 1.000
Risk-sharing is measured as corr(λ, λ∗).
Table C.2: Optimal Risk-Sharing in Model without a Financial Friction
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Ich versichere, die von mir vorgelegte Dissertation selbst¨andig und ohne unerlaubte Hilfe und Hilfsmittel angefertigt, sowie die benutzten Quellen und Daten anderen Ursprungs als solche kenntlich gemacht zu haben.
Ich bezeuge durch meine Unterschrift, dass meine Angaben ¨uber die bei der Abfassung meiner Dissertation benutzten Hilfsmittel, ¨uber die mir zuteil gewordene Hilfe sowie ¨uber fr¨uhere Begutachtungen meiner Dissertation in jeder Hinsicht der Wahrheit entsprechen.
Berlin, 31. August 2018
Johanna Krenz